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A monetary analysis of the Drachma/ECU exchange rate determination, 1980-1991

Author

Listed:
  • George Zis

    (Manchester Metropolitan University Department of Economics and Economic History Mabel Tylecote Building, Cavendish Street, Manchester M15 6BG, United Kingdom)

  • Athanasios P. Papadopoulos

    (Department of Economics, University of Crete, Gallos Campus, GR 741-00 GREECE)

Abstract

The validity of the monetary approach to the Drachma/ECU exchange rate determination is investigated through cointegration, impulse response and variance decomposition analysis. The empirical results reported confirm recent findings that the monetary approach may be interpreted as a long-run equilibrium condition with highly complex short-run dynamics.

Suggested Citation

  • George Zis & Athanasios P. Papadopoulos, 2000. "A monetary analysis of the Drachma/ECU exchange rate determination, 1980-1991," Empirical Economics, Springer, vol. 25(4), pages 653-663.
    • Handle: RePEc:spr:empeco:v:25:y:2000:i:4:p:653-663
    Note: received: November 1997/Final version received: May 2000
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    More about this item

    Keywords

    Exchange rate · cointegration · VAR · Greece;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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